Quantitative finance and risk management : a physicist's approach
By: Dash, Jan W
Material type:
BookPublisher: New Jersey : World Scientific, c2016.Edition: 2nd ed.Description: xxi, 986 p. : ill. ; 24 cm.ISBN: 9789814571234Subject(s): Finance -- Mathematical models | Risk management -- Mathematical modelsDDC classification: 332.63/2042 Online resources: Location Map | Item type | Home library | Call number | Status | Date due | Barcode | Item holds |
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| REGULAR | University of Wollongong in Dubai Main Collection | 332.632042 DA QU (Browse shelf) | Available | T0010374 |
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| 332.632042 CH TE Technical analysis and financial asset forecasting : | 332.632042 DA FI Financial products : | 332.632042 DA KE Keeping up with the quants : | 332.632042 DA QU Quantitative finance and risk management : | 332.632042 LE IA IA ≠ AI : | 332.632042 ME TE The technical analysis course : | 332.632042 PE FI Financial statement analysis and security valuation / |
TABLE OF CONTENTS PART I: Introduction, Overview, and Exercise 1. Introduction and Outline 2. Overview 3. An Exercise PART II: Risk Lab (Nuts and Bolts of Risk Management) 4. Equity Options 5. FX Options 6. Equity Volatility Skew 7. Forward Curves 8. Interest-Rate Swaps 9. Bonds: An Overview 10. Interest-Rate Caps 11. Interest-Rate Swaptions 12. Portfolios and Scenarios PART III: Exotics, Deals, and Case Studies 13. A Complex CVR Option 14. Two More Case Studies 15. More Exotics and Risk 16. A Pot Pourri of Deals 17. Single Barrier Options 18. Double Barrier Options 19. Hybrid 2-D Barrier Options 20. Average-Rate Options PART IV: Quantitative Risk Management 21. Fat Tail Volatility 22. Correlation Matrix Formalism; the N - Sphere 23. Stressed Correlations and Random Matrices 24. Optimally Stressed PD Correlation Matrices 25. Models for Correlation Dynamics, Uncertainties 26. Plain-Vanilla VAR 27. Improved/Enhanced/Stressed VAR 28. VAR, CVAR, CVAR Volatility Formalism 29. VAR and CVAR for Two Variables 30. Corporate-Level VAR 31. Issuer Credit Risk 32. Model Risk Overview 33. Model Quality Assurance 34. Systems Issues Overview 35. Strategic Computing 36. Qualitative Overview of Data Issues 37. Correlations and Data 38. Wishart’s Theorem and Fisher’s Transform 39. Economic Capital 40. Unused-Limit Risk PART V: Path Integrals, Green Functions, and Options 41. Path Integrals and Options: Overview 42. Path Integrals and Options I: Introduction 43. Path Integrals and Options II: Interest-Rates 44. Path Integrals and Options III: Numerical 45. Path Integrals and Options IV: Multiple Factors 46. The Reggeon Field Theory, Fat Tails, Chaos PART VI: The Macro-Micro Model (A Research Topic) 47. The Macro-Micro Model: Overview 48. A Multivariate Yield-Curve Lognormal Model 49. Strong Mean-Reverting Multifactor YC Model 50. The Macro-Micro Yield-Curve Model 51. Macro-Micro Model: Further Developments 52. A Function Toolkit Index
Written by a physicist with over 15 years of experience as a quant on Wall Street, this book treats a wide variety of topics. Presenting the theory and practice of quantitative finance and risk, it delves into the "how to" and "what it's like" aspects not covered in textbooks or research papers.